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International Wealth Effects

  • Jiri Slacalek

    ()

    (Macro Analysis and Forecasting German Institute for Economic Research)

This paper presents a detailed investigation of the wealth effect for 16 industrial countries using the recently proposed technique that exploits the sluggishness of consumption growth. I argue that, compared to the widespread cointegration-based methodology, the approach I apply has better theoretical foundations and is more immune to parameter instability. Empirically, this new technique implies smaller magnitude of the wealth effect in the G-8 countries and larger size of the income effect. I also document that the wealth effect tends to be larger in countries with more developed financial markets and has decreased substantially in the last twenty years

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 425.

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Date of creation: 04 Jul 2006
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Handle: RePEc:sce:scecfa:425
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  12. Carroll, Christopher D. & Slacalek, Jiri & Sommer, Martin, 2008. "International evidence on sticky consumption growth," Working Paper Series 0886, European Central Bank.
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